Analysis of Multiscale Integrators for Multiple Attractors and Irreversible Langevin Samplers

DOI10.1137/16M1083748zbMath1409.65006arXiv1606.09539MaRDI QIDQ4627437

Jian-feng Lu, Konstantinos V. Spiliopoulos

Publication date: 11 March 2019

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.09539

zbMATH Keywords

stochastic differential equations; multiscale integrator; averaging limit; irreversible Langevin sampler

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L04: Numerical methods for stiff equations

Uses Software

• S-ROCK